The liquidity effect in the federal funds market
Subtitle: evidence from daily open market operations
By: Seth Carpenter and Selva Demiralp.
Contributors: Demiralp, Selva.
Series: Finance and economics discussion series ;; 2004-61; Finance and economics discussion series (Online) ;; 2004-61.
Publisher: Federal Reserve Board
Published: 2004
Place of publication: Washington, D.C
Language: eng
Format: Electronic resource
Description: "We use forecast errors made by the Federal Reserve while preparing open market operations to identify a liquidity effect at a daily frequency in the federal funds market.  Unlike Hamilton (1997), we find a liquidity effect on many days of the reserve maintenance period besides settlement day.  The effect is non-linear; large changes in supply have a measurable effect, but small changes do not.  In addition, a higher aggregate level of reserve balances in the banking system is associated with a smaller liquidity effect during the maintenance period but a larger liquidity effect on the last days of the period"--Federal Reserve Board web site.
Notes: Also available in print.
Includes bibliographical references.
Title from PDF file as viewed on 10/21/2004.
System requirements: Adobe Acrobat Reader.
Mode of access: World Wide Web.